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6 Answers
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I am an Spanish speaker struggling with English, and I can't do anything but recommend what I do when trying to improve my English pronunciation. I'm not sure if what I do is good, bad or just so-so... It's just what I do and what I can say based solely in my personal experience :)

Try to watch movies or TV shows in Spanish. In the case of the TV shows, for instance, I force myself to watch the episodes twice: Once with English subtitles (English in my case, since is the language I'd like to improve, Spanish for you) and then watch it again without subtitles. I would strongly recommend using the same language for the subtitles as the language you want to improve (Spanish soundtrack, use Spanish subtitles). Do not use a different language for your subtitles: It will drive you nuts, bored and it will probably create a useless mess in your brain.

Listen to the radio (or to podcasts that you may be able to pre-record in your mobile devices and listen in subways, trains...). Try to pick a subject that is interesting for you. You will pay more attention. Radio or podcasts are good because you won't have the visual aid of a TV show, and they'll force you to focus on the sound. I think newscasts or cultural programs are good choices, since the pronunciation is very clear.

Record yourself. Speaking of TV shows with subtitles, you can get sentences from those shows and try to say them yourself in front of a recording machine. Then you can listen to yourself and compare with the actual pronunciation in the show (This item is really, really fun... It'll probably leave you thinking that your pronunciation is crap! It happened to me... I thought my English pronunciation was awesome until I heard myself. I could barely believe that the sounds I was listening to were actually made by me)

Talk to Spanish speaking people. Maybe you could try to get a "web conversator pal"? using Skype or something similar. I've never checked, but there may be web sites that put in touch people who want to "exchange conversations"... An Spanish speaker may want to learn your mother tongue and chat with you. This may also help with something I've realized while learning English: It'll help you improve the way you convey the information. Spaniards are less direct (at least that's what I think) than Americans. If an American is presented with the question "Who do you love the most? Your daddy or your mommy?", he will probably start his reply with "My [mommy | daddy ], because..." whereas an Spaniard might start it with "It was a very beautiful day of spring... (half an hour of explanations)... and that's why I like my [mommy | daddy] the most". I still have serious difficulties conveying things in the American way (sounds rude to me), and I've realized that some Americans really don't understand what I'm trying to say when I go with the "Beatiful day of spring" mode. I've seen them making funny faces (like "Mmm... I'm not understanding this guy... It must be because of his accent") and start talking before I've reached my always valuable conclusion.

Try to visit an Spanish speaking country and communicate with the natives in Spanish. When you try to order something to eat in a noisy bar and they bring you an ashtray because they didn't get you, that will definitely force you to improve your pronunciation. El hambre agudiza el ingenio, as we say in Spanish (hunger sharpens your wits, or something like that).

Be constantly trying to "catch" differences in pronunciation whenever you can (use "reliable sources" for that, though: make sure the people you're listening to have a great pronunciation). Here in New York I've met many foreigners who have been living in the city for decades and whose English is still very bad. Why? Well, I'm pretty sure it's because they've reached a level that allows them to communicate at an "acceptable" level (Americans might make them repeat what they're trying to say a couple of times, but they'll end up being understood) and that's good enough for those people. Avoid that. Stick with the "Good enough is just not good enough" (as a car commercial here says).

Study a bit the pronunciation rules. We have a bunch of (in my opinion) crazy ones (like ce, ci is pronounced ze, zi but ca, cu, co is pronounced ka, ku, ko... because some kind of historical reason) but once you know them, I would say they pretty much stay the same for all the words.

If you are a beginner, I would suggest reading aloud in addition to the suggestions mentioned in other answers. Read slowly and pay special attention to where you are placing the spoken accent on each word and on the proper pronunciation of each letter. Letters such as g, c, z, j, and h can be especially tricky when starting out.

Also, practice getting the correct sounds for the vowels. We tend to be very "lazy" with our vowels in English. Many of them are simply pronounced "uh" in many words.

Ex.) mother - The 'o' is pronouned 'uh.'
carnival - The 'i' is an 'uh' sound.
memorable - The 'o' and 'a' can both be pronounced 'uh, and sometimes we leave the 'o' sound out completely.

Another vowel tip is that English vowels tend to be drawn out, especially in the southern United States. Make sure that your vowels are crisp and short when speaking Spanish. Although, "no" is spelled the same in both languages, it is pronounced slightly different between the two.

Based on my personal experience, I can tell you that watching TV Series, Movies, Cartoons etc, and listening to music (of course all with the pronunciation you're aiming at) are good ways you can get an idea of how to pronounce many words, and as AirieFenix mentions, it's a matter of practicing and being consistent.

I was born and raised in Madrid (or Madrí as we say it) so I fit in the OP example. I'll give you some areas to focus on if you want to pass for a Madrileño. These are the things that surprise me (in a good way) as a native when hearing a foreigner speaking Spanish:

Basic tips:

They use only the 5 five pure vowel sounds (a e i o u). No mutating vowels like the do in English. For example, not pronouncing "No creo que ..." like "Nou creou quei ...".
In other Spanish regions they have more vowel sounds (open vs closed, intermediate vowels)

In case there are some other people asking this question, here are my two cents.

Some of the software packages that claim to help you learn Spanish come with a "reading test" feature that uses the microphone and scores your effort. This is very useful, even if it's far from perfect. And it won't tell you what you are doing right or wrong. It just tells you whether or not you are improving.